Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Crescimento econômico e restrição externa: evidências empíricas na economia brasileira (1991-2010)

This study aims to investigate the influence of the balance of payments constrained on economic growth in Brazil from 1991 to 2010. With this order, are shown some of the Keynesian balance of payments constrained growth models, inspired by Thirlwall (1979) and Kaldor (1970), which are supported by important points in common, such as adherence to the principle of effective demand. Given that within this theoretical perspective, there is no consensus about the best model to explain the growth rate allowed by the balance of payments constraint, the results are presented by the representative of the empirical literature that addresses the topic, which are necessary for understand the Brazilian case. From the estimation of the income elasticity of imports (0.85) via autoregressive vectors with error correction (VEC), it was calculated five growth rates of income, as predicted by the models of Thirlwall (1979), Thirlwall and Hussain (1982), Moreno-Brid (1998, 2003) and Lourenço et al. (2011) and compared with the actual growth rate. The empirical analysis has shown that: it can not reject the presence of external constraint in the Brazilian economy, there is a strong similarity in growth rates provided by different modeling suggest that growth with external constraint. In addition, when using data in quarterly for the period after 1990 there are no factors that could cause instability in the parameters of the import function (income elasticity and price elasticity of imports) within the period, which indicates that the structural break widely associated with the year 1994 was not confirmed by this study

Condição ocular dos indivíduos facectomizados na região centro-oeste do estado de São Paulo: estudo populacional

OBJETIVO: Avaliar as causas de baixa visão e cegueira em indivíduos facectomizados, de amostra da população de cidades da região centrooeste do estado de São Paulo. Métodos: Estudo transversal, observacional, feito em cinco cidades da região centro-oeste do estado de São Paulo, em amostra domiciliar e baseada nos dados do último Censo Demográfico (IBGE, 1995), com escolha sistemática dos domicílios. Foi considerada para o presente estudo uma subamostra de indivíduos facectomizados, dos quais foram obtidos dados de identificação e exame oftalmológico completo. Os dados foram avaliados por estatísticas descritivas, análise de freqüência de ocorrência e proporção de concordância, com intervalo de confiança de 95%. RESULTADOS: Dos indivíduos amostrados, 2,37% haviam sido submetidos à facectomia. Dos 201 olhos operados, 26,9% apresentavam acuidade visual compatível com cegueira ou deficiência visual. Com a melhor correção óptica, a acuidade visual permaneceu <0,3 em 19,0%. O exame refracional proporcionou melhora da acuidade visual para 27,9% dos indivíduos facectomizados. As causas de baixa visão foram os erros refrativos não corrigidos, opacidade de cápsula posterior (19,4%), ceratopatia bolhosa (8,3%) coriorretinite cicatricial (8,3%), afacia (8,3%), degeneração macular relacionada a idade (5,5%), leucoma (5,5%), glaucoma (5,5%), atrofia de papila (5,5,%), descolamento de retina (2,8%), atrofia de epitelio pigmentado da retina (2,8%) e alta miopia (2,8%). CONCLUSÃO: Apesar da catarata ser causa de cegueira que pode ser evitável, mesmo após a correção cirúrgica porcentagem expressiva de indivíduos permanece com baixa visão, em geral, em decorrência de fatores relacionados ao seguimento pós-operatório negligenciado.

Geração de VRS a partir de modelos atmosféricos: Conceito, implementação e resultados

Nowadays, with the implantation of GNSS (Global Navigation Satellite System) reference station networks, several positioning techniques have been developed and/or improved. Using such kind of network data it is possible to model the GNSS distance dependent errors and to compute correction terms for the network region. Several methods have been developed to formulate the corrections terms from network stations data. A method that has been received a great attention is the Virtual Reference Station (VRS). The idea is that the VRS data resemble as much as possible a real receiver data placed in the same local. Therefore, the user has the possibility of using the VRS as if it were a real reference station in your proximities, and to accomplish the relative positioning with a single frequency receiver. In this paper it is described a different methodology applied to implement the VRS concept, using atmospheric models developed by Brazilian researchers. Besides, experiments for evaluating the quality of generated VRS are presented, showing the efficiency of the proposed method.

Bahamas and Barbados: empirical evidence of interest rate pass-through

Includes bibliography

Crescimento econômico restrito pelo balanço de pagamentos, no Brasil: 1951-2008

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

O pólo industrial de Manaus como modelo de desenvolvimento econômico avaliado sob o enfoque da Lei de Kaldor-Verdoorn

Este estudo tem como objetivo mensurar e avaliar a dinâmica econômica do Pólo Industrial de Manaus como um modelo de desenvolvimento sob o enfoque da Lei de kaldor-Verdoorn. Especificamente, analisar a relação entre produção e produtividade, sob as condições preconizadas por esta lei, aplicadas às indústrias do Pólo Industrial de Manaus. A Lei de Kaldor-Verdoorn propõe que à medida que a produção aumenta, há uma forte tendência, ao longo do tempo, de crescimento da produtividade. Economias de escala são geradas endogenamente por mudança técnica e aprendizagem tecnológica (learning by doing), fruto do crescimento da demanda que permite que se explore as economias de escala dinâmicas presentes, principalmente, no setor manufatureiro. Dessa forma, estima-se a produtividade total de fatores e a produtividade parcial. Analisa-se a dinâmica dessa economia efetuando-se teste empírico para a indústria do Pólo Industrial de Manaus, no período de janeiro de 1995 a dezembro de 2004, através de um modelo de correção de erros, teste de causalidade de Granger e modelo VAR estrutural,. Os resultados obtidos indicam um razoável grau de dinamismo dessa economia, dado que a combinação de efeitos de curto e longo prazo fez com que a produtividade crescesse num ritmo mais acelerado, com respostas rápidas no curto prazo, da produtividade a choques de mudanças no valor total da produção e emprego. Comprovam também a existência de fontes endógenas de crescimento da produtividade, evidenciando economias de escala crescente.

Controle de qualidade para 3D-vídeo streaming em redes em malha sem fio

Redes em Malha sem Fio ( do inglês Wireless Mesh Networks - WMNs) são previstas serem uma das mais importantes tecnologias sem fio no que se refere ao fornecimento do acesso de última milha em redes multimídia futuras. Elas vão permitir que milhares de usuários fixos e móveis acessem, produzam e compartilhem conteúdo multimídia de forma onipresente. Neste contexto, vídeo 3D está previsto atrair mais e mais o mercado multimídia com a perspectiva de reforçar as aplicações (vídeos de vigilância, controle demissões críticas, entretenimento, etc). No entanto, o desafio de lidar com a largura de banda optante, escassez de recursos e taxas de erros variantes com o tempo destas redes, ilustra a necessidade da transmissão de vídeos 3D mais resistentes a erros. Dessa forma, alternativas como abordagens de Correção Antecipada de Erros (FEC) se tornam necessárias para fornecer a distribuição de aplicações de vídeo para usuários sem fio com garantia de melhor qualidade de serviço (QoS) e Qualidade de Experiência (QoE). Esta dissertação apresenta um mecanismo baseado em FEC com Proteção Desigual de Erros (UEP) para melhorar a transmissão de vídeo 3D em WMNs, aumentando a satisfação do usuário e permitindo uma melhoria do uso dos recursos sem fio. Os benefícios e impactos do mecanismo proposto serão demonstrados usando simulação e a avaliação será realizada através de métricas de QoE objetivas e subjetivas.

Análise da dinâmica de preços entre os mercados futuros de grão, farelo e óleo de soja na China e Estados Unidos

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Mercado de ações brasileiro: uma investigação empírica sobre suas relações de longo prazo e de precedência temporal pré-crise de 2008

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Next-generation sequencing reveals large connected networks of intra-host HCV variants

Background: Next-generation sequencing (NGS) allows for sampling numerous viral variants from infected patients. This provides a novel opportunity to represent and study the mutational landscape of Hepatitis C Virus (HCV) within a single host.Results: Intra-host variants of the HCV E1/E2 region were extensively sampled from 58 chronically infected patients. After NGS error correction, the average number of reads and variants obtained from each sample were 3202 and 464, respectively. The distance between each pair of variants was calculated and networks were created for each patient, where each node is a variant and two nodes are connected by a link if the nucleotide distance between them is 1. The work focused on large components having > 5% of all reads, which in average account for 93.7% of all reads found in a patient. The distance between any two variants calculated over the component correlated strongly with nucleotide distances (r = 0.9499; p = 0.0001), a better correlation than the one obtained with Neighbour-Joining trees (r = 0.7624; p = 0.0001). In each patient, components were well separated, with the average distance between (6.53%) being 10 times greater than within each component (0.68%). The ratio of nonsynonymous to synonymous changes was calculated and some patients (6.9%) showed a mixture of networks under strong negative and positive selection. All components were robust to in silico stochastic sampling; even after randomly removing 85% of all reads, the largest connected component in the new subsample still involved 82.4% of remaining nodes. In vitro sampling showed that 93.02% of components present in the original sample were also found in experimental replicas, with 81.6% of reads found in both. When syringe-sharing transmission events were simulated, 91.2% of all simulated transmission events seeded all components present in the source.Conclusions: Most intra-host variants are organized into distinct single-mutation components that are: well separated from each other, represent genetic distances between viral variants, robust to sampling, reproducible and likely seeded during transmission events. Facilitated by NGS, large components offer a novel evolutionary framework for genetic analysis of intra-host viral populations and understanding transmission, immune escape and drug resistance.

Balance-of-payments-constrained growth in Brazil: 1951-2008

The aim of this study is to determine whether Brazil's economic growth has been constrained by the balance of payments in the long run. The question underpinning the analysis can be expressed as follows: Was economic growth in the period 1951-2008 constrained by the balance of payments? To answer this question, the study employs the externally constrained growth methodology developed by Lima and Carvalho (2009), among others. The main statistical method used is vector error correction. The conclusion is that the rate of economic growth in Brazil was restricted by the external sector in the period concerned, validating the theory of balance-of-payments growth constraint with regard to the economic history of Brazil.

Construction and decoding of BCH codes over chain of commutative rings

In this paper, we present a new construction and decoding of BCH codes over certain rings. Thus, for a nonnegative integer t, let A0 ⊂ A1 ⊂···⊂ At−1 ⊂ At be a chain of unitary commutative rings, where each Ai is constructed by the direct product of appropriate Galois rings, and its projection to the fields is K0 ⊂ K1 ⊂···⊂ Kt−1 ⊂ Kt (another chain of unitary commutative rings), where each Ki is made by the direct product of corresponding residue fields of given Galois rings. Also, A∗ i and K∗ i are the groups of units of Ai and Ki, respectively. This correspondence presents a construction technique of generator polynomials of the sequence of Bose, Chaudhuri, and Hocquenghem (BCH) codes possessing entries from A∗ i and K∗ i for each i, where 0 ≤ i ≤ t. By the construction of BCH codes, we are confined to get the best code rate and error correction capability; however, the proposed contribution offers a choice to opt a worthy BCH code concerning code rate and error correction capability. In the second phase, we extend the modified Berlekamp-Massey algorithm for the above chains of unitary commutative local rings in such a way that the error will be corrected of the sequences of codewords from the sequences of BCH codes at once. This process is not much different than the original one, but it deals a sequence of codewords from the sequence of codes over the chain of Galois rings.

Cointegration: Bayesian Significance Test

To estimate causal relationships, time series econometricians must be aware of spurious correlation, a problem first mentioned by Yule (1926). To deal with this problem, one can work either with differenced series or multivariate models: VAR (VEC or VECM) models. These models usually include at least one cointegration relation. Although the Bayesian literature on VAR/VEC is quite advanced, Bauwens et al. (1999) highlighted that "the topic of selecting the cointegrating rank has not yet given very useful and convincing results". The present article applies the Full Bayesian Significance Test (FBST), especially designed to deal with sharp hypotheses, to cointegration rank selection tests in VECM time series models. It shows the FBST implementation using both simulated and available (in the literature) data sets. As illustration, standard non informative priors are used.

Essays on Wage and Price Formation in Sweden

Study IReal Wage Determination in the Swedish Engineering Industry This study uses the monopoly union model to examine the determination of real wages and in particular the effects of active labour market programmes (ALMPs) on real wages in the engineering industry. Quarterly data for the period 1970:1 to 1996:4 are used in a cointegration framework, utilising the Johansen's maximum likelihood procedure. On a basis of the Johansen (trace) test results, vector error correction (VEC) models are created in order to model the determination of real wages in the engineering industry. The estimation results support the presence of a long-run wage-raising effect to rises in the labour productivity, in the tax wedge, in the alternative real consumer wage and in real UI benefits. The estimation results also support the presence of a long-run wage-raising effect due to positive changes in the participation rates regarding ALMPs, relief jobs and labour market training. This could be interpreted as meaning that the possibility of being a participant in an ALMP increases the utility for workers of not being employed in the industry, which in turn could increase real wages in the industry in the long run. Finally, the estimation results show evidence of a long-run wage-reducing effect due to positive changes in the unemployment rate. Study IIIntersectoral Wage Linkages in Sweden The purpose of this study is to investigate whether the wage-setting in certain sectors of the Swedish economy affects the wage-setting in other sectors. The theoretical background is the Scandinavian model of inflation, which states that the wage-setting in the sectors exposed to international competition affects the wage-setting in the sheltered sectors of the economy. The Johansen maximum likelihood cointegration approach is applied to quarterly data on Swedish sector wages for the period 1980:1–2002:2. Different vector error correction (VEC) models are created, based on assumptions as to which sectors are exposed to international competition and which are not. The adaptability of wages between sectors is then tested by imposing restrictions on the estimated VEC models. Finally, Granger causality tests are performed in the different restricted/unrestricted VEC models to test for sector wage leadership. The empirical results indicate considerable adaptability in wages as between manufacturing, construction, the wholesale and retail trade, the central government sector and the municipalities and county councils sector. This is consistent with the assumptions of the Scandinavian model. Further, the empirical results indicate a low level of adaptability in wages as between the financial sector and manufacturing, and between the financial sector and the two public sectors. The Granger causality tests provide strong evidence for the presence of intersectoral wage causality, but no evidence of a wage-leading role in line with the assumptions of the Scandinavian model for any of the sectors. Study IIIWage and Price Determination in the Private Sector in Sweden The purpose of this study is to analyse wage and price determination in the private sector in Sweden during the period 1980–2003. The theoretical background is a variant of the “Imperfect competition model of inflation”, which assumes imperfect competition in the labour and product markets. According to the model wages and prices are determined as a result of a “battle of mark-ups” between trade unions and firms. The Johansen maximum likelihood cointegration approach is applied to quarterly Swedish data on consumer prices, import prices, private-sector nominal wages, private-sector labour productivity and the total unemployment rate for the period 1980:1–2003:3. The chosen cointegration rank of the estimated vector error correction (VEC) model is two. Thus, two cointegration relations are assumed: one for private-sector nominal wage determination and one for consumer price determination. The estimation results indicate that an increase of consumer prices by one per cent lifts private-sector nominal wages by 0.8 per cent. Furthermore, an increase of private-sector nominal wages by one per cent increases consumer prices by one per cent. An increase of one percentage point in the total unemployment rate reduces private-sector nominal wages by about 4.5 per cent. The long-run effects of private-sector labour productivity and import prices on consumer prices are about –1.2 and 0.3 per cent, respectively. The Rehnberg agreement during 1991–92 and the monetary policy shift in 1993 affected the determination of private-sector nominal wages, private-sector labour productivity, import prices and the total unemployment rate. The “offensive” devaluation of the Swedish krona by 16 per cent in 1982:4, and the start of a floating Swedish krona and the substantial depreciation of the krona at this time affected the determination of import prices.